Some fairytales about risk management

Medvegyev, Péter (2015) Some fairytales about risk management. Economy and Finance, 2 (2). pp. 150-167.

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When I started writing this paper, I thought I would only be writing about the parallel between the mathematical theory of inventory and production – as a familiar model of operations research – and liquidity management. And then during the writing process, predictably enough I must say, the scandals surrounding the Buda-Cash and Quaestor brokerages erupted. Likewise in this period, the debate about foreign currency lending gained fresh impetus; about who made which mistakes when, or whether there was anyone who didn’t make mistakes. The most surprising twist revealed in the Buda-Cash and Quaestor cases – beyond alleged losses running into several hundreds of billions of forints – was that all this could be accumulated in 15 years of selfless effort. And even if this information proves to be comment born of initial over-excitement, it still demands an explanation one way or another. If it’s true, then how can this be? And if it isn’t, then what made it appear as if this is what happened? The questions and contradictions are obvious. But the main questions are these: What do risk managers actually do? What do we pay them for? And how far can we trust them?

Item Type:Article
Uncontrolled Keywords:risks, paradigms, martingales
JEL classification:B41 - Economic Methodology
G00 - Financial Economics: General
Divisions:Faculty of Economics > Department of Mathematics
Mathematics, Econometrics
ID Code:2069
Deposited By: Ádám Hoffmann
Deposited On:23 Sep 2015 15:38
Last Modified:24 Sep 2015 08:54

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